[Piwoslaw]

As Cripple Rooster said - need to know whether it is a petrol or diesel.

In Petrol engines a Warm Air Intake will improve fuel consumption, but lower power.
In a Diesel a Cold Air Intake improves both.

Add a turbo to increase compression?

In general, do you need the efficiency while running, or to generally lower fuel consumption? Electric engine preheating will help the latter, so will regenerative braking and other hypermiling tips. But those won't do much for the thermal efficiency of a running engine that is already up to temperature.

Another thing research your engine's BSFC and try to drive as close to the "sweet spot" as possible. Instrumentation, like a ScanGauge, can help you with keeping an eye on Load and RPMs vs momentary fuel consumption.